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The effects of margin changes on commodity futures markets

Daskalaki, Charoula; Skiadopoulos, George - 2014 - This draft: 24 October 2014

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...

Persistent link: https://www.econbiz.de/10010472794

European natural gas seasonal effects on futures hedging

Martínez, Beatriz; Torró, Hipòlit - 2015

This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF … that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …

Persistent link: https://www.econbiz.de/10010479020

OTC derivatives market in India : recent regulatory initiatives and open issues for market stability and development

Arora, Dayanand; Rathinam, Francis Xavier - 2010

complementary. Regarding the introduction of new derivative products for credit risk transfer, the recent announcement by the RBI …

Persistent link: https://www.econbiz.de/10003963572

Negative correlation between stock and futures returns : an unexploited hedging opportunity?

Basu, Parantap; Gavin, William T. - 2011

For over a decade, academic and industry economists argued that the negative correlation between returns on stocks and commodity futures was evidence that institutional investors should add commodity futures index funds as an asset class in their portfolio management strategies. Does this...

Persistent link: https://www.econbiz.de/10008840951